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My question is about credit spreads and the corresponding probability of default (PD).One of the most simple relations between credit spreads and PDs is (see e.g. ch7 in Malz(2011))...
Asked on 11/15/2021 by Cettt
1 answerIn finance, alternative risk measures such as value-at-risk (VaR) and GARCH are introduced as replacements to standard deviation volatility. Is there any application or value where several risk estimators or...
Asked on 11/15/2021
1 answerConsider the case where at t=0, I calibrate my model to the market, but at t=1 my model is no longer able to recover the price in the market, so...
Asked on 11/13/2021
1 answerI'm doing some academic work on volatility forecasting. I've got 1-minute bar data. It is not clear to me what model is best suited for forecasting volatility when higher frequency...
Asked on 11/13/2021
0 answerI was wondering how farmers use futures when they have a production ability but cannot sell what they produced ? Is the exchange not used for physically delivering products, then...
Asked on 11/13/2021
1 answerLet's say we are working with the standard Fama-French 3 factor model and we want to add a low volatility factor. Is it alright to add a low volatility risk...
Asked on 11/13/2021 by Circus_beta
1 answerWe all know fixed income seucirties have default risk which can be generated from CDS market. However, I am curious if the market trading price of a bond (say, $105)...
Asked on 11/11/2021 by HoldBreath
1 answerSpectrum analysis is often used to analyse waveforms. A common configuration, for example, is to create a graph where X is time, Y is frequency, and the brightness of each...
Asked on 11/08/2021
9 answerI want to apply the knowledge of this paper (Bayesian estimation of probabilities of default for low default portfolios, by Dirk Tasche) in R, but I can't find the right...
Asked on 11/08/2021
1 answerI was reading a lot about the idea that long positions (call or put) have positive gamma, and short positions (call or put) have negative gamma. But I couldn't understand...
Asked on 11/05/2021 by Guess601
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